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QuantConnect.Data.UniverseSelection.OptionChainUniverse Class Reference

Defines a universe for a single option chain More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.OptionChainUniverse:
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Public Member Functions

 OptionChainUniverse (Option option, UniverseSettings universeSettings)
 Initializes a new instance of the OptionChainUniverse class More...
 
override IEnumerable< SymbolSelectSymbols (DateTime utcTime, BaseDataCollection data)
 Performs universe selection using the data specified More...
 
override IEnumerable< SubscriptionRequestGetSubscriptionRequests (Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc, ISubscriptionDataConfigService subscriptionService)
 Gets the subscription requests to be added for the specified security More...
 
- Public Member Functions inherited from QuantConnect.Data.UniverseSelection.Universe
virtual bool CanRemoveMember (DateTime utcTime, Security security)
 Determines whether or not the specified security can be removed from this universe. This is useful to prevent securities from being taken out of a universe before the algorithm has had enough time to make decisions on the security More...
 
IEnumerable< SymbolPerformSelection (DateTime utcTime, BaseDataCollection data)
 Performs universe selection using the data specified More...
 
virtual Security CreateSecurity (Symbol symbol, IAlgorithm algorithm, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase)
 Creates and configures a security for the specified symbol More...
 
virtual IEnumerable< SubscriptionRequestGetSubscriptionRequests (Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc)
 Gets the subscription requests to be added for the specified security More...
 
bool ContainsMember (Symbol symbol)
 Determines whether or not the specified symbol is currently a member of this universe More...
 
virtual void Dispose ()
 Marks this universe as disposed and ready to remove all child subscriptions More...
 

Properties

override bool Asynchronous [get]
 True if this universe filter can run async in the data stack More...
 
Option Option [get]
 The canonical option chain security More...
 
override UniverseSettings UniverseSettings [set]
 Gets the settings used for subscriptons added for this universe More...
 
- Properties inherited from QuantConnect.Data.UniverseSelection.Universe
virtual ConcurrentDictionary< Symbol, MemberSecurities [get]
 Gets the internal security collection used to define membership in this universe More...
 
virtual bool Asynchronous [get, set]
 True if this universe filter can run async in the data stack More...
 
virtual bool DisposeRequested [get, protected set]
 Flag indicating if disposal of this universe has been requested More...
 
virtual UniverseSettings UniverseSettings [get, set]
 Gets the settings used for subscriptions added for this universe More...
 
virtual SubscriptionDataConfig Configuration [get]
 Gets the configuration used to get universe data More...
 
Dictionary< Symbol, SecurityMembers [get]
 Gets the current listing of members in this universe. Modifications to this dictionary do not change universe membership. More...
 

Additional Inherited Members

- Public Attributes inherited from QuantConnect.Data.UniverseSelection.Universe
SecurityType SecurityType => Configuration.SecurityType
 Gets the security type of this universe More...
 
string Market => Configuration.Market
 Gets the market of this universe More...
 
Symbol Symbol => Configuration.Symbol
 Gets the symbol of this universe More...
 
Type DataType => Configuration.Type
 Gets the data type of this universe More...
 
- Static Public Attributes inherited from QuantConnect.Data.UniverseSelection.Universe
static readonly UnchangedUniverse Unchanged = UnchangedUniverse.Instance
 Gets a value indicating that no change to the universe should be made More...
 
- Protected Member Functions inherited from QuantConnect.Data.UniverseSelection.Universe
 Universe (SubscriptionDataConfig config)
 Initializes a new instance of the Universe class More...
 
void OnSelectionChanged (HashSet< Symbol > selection=null)
 Event invocator for the SelectionChanged event More...
 
- Events inherited from QuantConnect.Data.UniverseSelection.Universe
EventHandler SelectionChanged
 Event fired when the universe selection has changed More...
 

Detailed Description

Defines a universe for a single option chain

Definition at line 29 of file OptionChainUniverse.cs.

Constructor & Destructor Documentation

◆ OptionChainUniverse()

QuantConnect.Data.UniverseSelection.OptionChainUniverse.OptionChainUniverse ( Option  option,
UniverseSettings  universeSettings 
)

Initializes a new instance of the OptionChainUniverse class

Parameters
optionThe canonical option chain security
universeSettingsThe universe settings to be used for new subscriptions

Definition at line 56 of file OptionChainUniverse.cs.

Member Function Documentation

◆ SelectSymbols()

override IEnumerable<Symbol> QuantConnect.Data.UniverseSelection.OptionChainUniverse.SelectSymbols ( DateTime  utcTime,
BaseDataCollection  data 
)
virtual

Performs universe selection using the data specified

Parameters
utcTimeThe current utc time
dataThe symbols to remain in the universe
Returns
The data that passes the filter

Implements QuantConnect.Data.UniverseSelection.Universe.

Definition at line 92 of file OptionChainUniverse.cs.

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◆ GetSubscriptionRequests()

override IEnumerable<SubscriptionRequest> QuantConnect.Data.UniverseSelection.OptionChainUniverse.GetSubscriptionRequests ( Security  security,
DateTime  currentTimeUtc,
DateTime  maximumEndTimeUtc,
ISubscriptionDataConfigService  subscriptionService 
)
virtual

Gets the subscription requests to be added for the specified security

Parameters
securityThe security to get subscriptions for
currentTimeUtcThe current time in utc. This is the frontier time of the algorithm
maximumEndTimeUtcThe max end time
subscriptionServiceInstance which implements ISubscriptionDataConfigService interface
Returns
All subscriptions required by this security

Reimplemented from QuantConnect.Data.UniverseSelection.Universe.

Definition at line 153 of file OptionChainUniverse.cs.

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Property Documentation

◆ Asynchronous

override bool QuantConnect.Data.UniverseSelection.OptionChainUniverse.Asynchronous
get

True if this universe filter can run async in the data stack

Definition at line 40 of file OptionChainUniverse.cs.

◆ Option

Option QuantConnect.Data.UniverseSelection.OptionChainUniverse.Option
get

The canonical option chain security

Definition at line 69 of file OptionChainUniverse.cs.

◆ UniverseSettings

override UniverseSettings QuantConnect.Data.UniverseSelection.OptionChainUniverse.UniverseSettings
set

Gets the settings used for subscriptons added for this universe

Definition at line 75 of file OptionChainUniverse.cs.


The documentation for this class was generated from the following file: